Annoying isn't it?
This is the drawback of buying games online. Had the same problem with Resident Evil 5 (had a coupon) through nVidia's website. Ultimately, I used WinRar to scan the "integrity" of the file segments. Downloaded the whole game like 7 or 8 times. Ultimately, I took the good file segments and put them all into a folder together to create one working download.
Pain in the butt. I guess that's one good thing about Steam. You can download the game, and it can scan itself for integrity and only download the files it needs to fix. (Just did that last night with Stalker: Shadow of Chernobyl)